On parameter estimation for critical affine processes
From MaRDI portal
Publication:1951130
DOI10.1214/13-EJS786zbMath1336.60165arXiv1210.1866MaRDI QIDQ1951130
Mátyás Barczy, Leif Döring, Zhenghu Li, Gyula Pap
Publication date: 29 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.1866
62F12: Asymptotic properties of parametric estimators
91G70: Statistical methods; risk measures
60F05: Central limit and other weak theorems
60J80: Branching processes (Galton-Watson, birth-and-death, etc.)
Related Items
Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations, Volterra square-root process: stationarity and regularity of the law, On convergence properties of infinitesimal generators of scaled multitype CBI processes, Statistical inference for critical continuous state and continuous time branching processes with immigration, Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model, Least-squares estimation for the subcritical Heston model based on continuous-time observations, On conditional least squares estimation for affine diffusions based on continuous time observations, Parameter estimation in two-type continuous-state branching processes with immigration, Parameter estimation for a subcritical affine two factor model, Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes, Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration, Reduction and reconstruction of stochastic differential equations via symmetries, Stationarity and Ergodicity for an Affine Two-Factor Model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Regularity of affine processes on general state spaces
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
- Asymptotic behavior of unstable INAR(\(p\)) processes
- Estimation for discretely observed continuous state branching processes with immigration
- Affine processes are regular
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Some asymptotic results for the branching process with immigration
- Estimation of the means in the branching process with immigration
- Affine processes and applications in finance
- A limit theorem of two-type Galton-Watson branching processes with immigration
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Moment explosions in stochastic volatility models
- Skew convolution semigroups and affine Markov processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Measure-Valued Branching Markov Processes
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Affine Diffusion Processes: Theory and Applications
- Estimation for Continuous Branching Processes
- Asymptotic Statistics
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- On the Statistical Treatment of Linear Stochastic Difference Equations
